Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327): Difference between revisions

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Revision as of 04:19, 11 February 2024

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Constant rebalanced portfolio optimization under nonlinear transaction costs
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    Constant rebalanced portfolio optimization under nonlinear transaction costs (English)
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    25 May 2011
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    multi-period portfolio optimization
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    constant rebalancing
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    transaction cost
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    conditional value-at-risk
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    market impact cost
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